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Capital Markets

Code: 102327
Credits: 6
2026/2027
Degree programme Type Course
Business Administration and Management OP 4
Economics OP 3
Economics OP 4

Contact lecturer

Name :
Maria Antònia Tarrazón Rodón
Email :
mariaantonia.tarrazon@uab.cat

Teaching staff

Miguel Karlo de Jesús Reyes
Sefa Takmaz

Group languages

You can consult this information at the end of the document.

Prerequisites

Students enrolling in this subject are expected to have taken 'Finance I' (102329) previously.

Objectives

This subject studies the properties of financial markets and financial strategies. More specifically, it analyses financial transactions of four different natures: investment, speculation, hedging and arbitrage, undertaken in markets of primitive assets (stocks and fixed-income securities) and in derivatives markets (options, futures and swaps). The course is centred on the role of risk in financial markets.

Main goals of the course are the design of financial strategies and risk management in the short and the long terms, from the firms’ point of view as well as the investors’ point of view.

Learning outcomes

  1. Capacity to adapt to changing environments.
  2. Capacity to continue future learning independently, acquiring further knowledge and exploring new areas of knowledge.
  3. Select and generate the information needed for each problem, analyse it and make decisions based on this information.
  4. Make decisions in situations of uncertainty and show an enterprising and innovative spirit.
  5. A capacity of oral and written communication in Catalan, Spanish and English, which allows them to summarise and present the work conducted both orally and in writing.
  6. Organise work, in terms of good time management and organisation and planning.
  7. Demonstrate initiative and work independently when required.
  8. Work as part of a team and be able to argue own proposals and validate or refuse the arguments of others in a reasonable manner.
  9. Formulate indebtedness and dividend policies.
  10. Demonstrate knowledge of the variables determining the formation of value.
  11. Understand the formation of value from the perspective of shareholders.
  12. Apply the methodology of financial economy reasoning and differentiate it from its equivalent in real economy.
  13. Select and interpret the financial information of markets and companies.
  14. Describe the characteristics and objectives of financial regulation from the perspective of market efficiency.
  15. Assess investment opportunities from a strategic perspective.
  16. Apply the main principles of risk management.
  17. Assess the creation of value in finance markets.
  18. Master the assessment principles of assets, bàsics and derivatives.
  19. Assess the formation of value of the assets of companies.
  20. Define the characteristics of different sources of finance.
  21. Assess investment plans.
  22. Assess the formation of prices and risk premiums in finance markets.
  23. Assess ethical commitment in professional activity.

Contents

1. Multifactor models in capital markets: CAPM and APT

1.1. Macroeconomic factors in the APT model

1.2. Systematic factors in the BARRA model

1.3 The risk premium

1.4 Factor portfolios


2. Financial strategies with equity portfolios

2.1 Active versus passive strategies

2.2 Financial strategies and market efficiency

2.3 Active strategies of microeconomic basis

2.4 Active strategies of macroeconomic basis


3. Performance evaluation of equity portfolios

3.1 The return-risk approach

3.2 Performance indices by Sharpe, Jensen and Treynor

3.3 Performance allocation


4. Fixed-income markets and securities

4.1 Bond pricing

4.2 Different types of risk affecting bond management

4.3 Duration and convexity

4.4 Fixed-income strategies


5. Trading strategies using options

5.1 Option characteristics and option pricing: A review

5.2 Hedging strategies involving options

5.3 Spreads

5.4 Combinations

5.5 Introduction to exotic options


6. Futures markets: Pricing and strategies

6.1 Forward and futures contracts.Contracts on commodities,currencies, financial assets and weather

6.2 Mechanics and functions of futures markets

6.3 Pricing futures contracts

6.4 Hedging strategies using futures


7. Swaps: Types and strategies

7.1 Definition of swap

7.2 Currency swaps

7.3.Interest rate swaps

7.4 Hedging strategies using swaps





Learning activities and methodology

Title Hours ECTS Learning outcomes
Tutorials 22.5 0.9 3, 5, 6, 12, 13, 15, 16, 17, 18, 22
Searching documents and references 12 0.48 6, 13, 22
Solving exercises and case studies 41 1.64 1, 2, 3, 4, 5, 6, 7, 8, 10, 12, 13, 14, 15, 16, 18, 22
Studying 20 0.8 2, 4, 5, 6, 7, 8, 11, 14, 15, 16, 17, 18, 19
Master classes 32.5 1.3 3, 4, 5, 10, 11, 12, 13, 14, 15, 16, 17, 18, 22
Case studies and exercises 17 0.68 3, 10, 12, 13, 14, 15, 16, 17, 18, 22

65.66% of credits (32.5 hours) are theoretical and 34.34% (17 hours) are practical. Theory is taught through lectures. Lecturers will introduce the topics encouraging students’ participation through questions and observations. In each topic presentation of contents will be accompanied by the analysis of the methods applied.

The practical part will consists of problem solving (with and without software), analysis of corporate and financial market information, and selected readings. Students are expected to participate actively by solving exercises and analysing published information, especially financial websites of stock exchanges, fixed-income markets, derivatives markets, corporations and investment funds. Problem solving in the classroom will insist on the usage of specific software (especially spreadsheets).

Capital Markets is a subject thought for regular attendance.

Use of AI

In order to ensure consistency and transparency in the use of AI in specific subjects and assessable activities, the UAB has established different models, of which this subject applies Model 2 - Restricted Use:

\"For this subject, the use of Artificial Intelligence (AI) technologies is permitted exclusively for support tasks, such as bibliographic or information searches, text correction, or translations. Students must clearly identify which parts have been generated with this technology, specify the tools used, and include a critical reflection on how they have influenced the process and final result of the activity. Lack of transparency in the use of AI in this assessable activity will be considered a lack of academic honesty and may result in a partial or total penalty in the activity grade, or greater sanctions in serious cases.\"

Annotation: within the schedule set by the centre or degree programme, 15 minutes of one class will be reserved for students to evaluate their lecturers and their courses or modules through questionnaires.

Assessment

Continuous assessment activities

Title Weight Hours ECTS Learning outcomes
Final exam 45% 2 0.08 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23
Midterm exam of continuous evaluation 30% 1.5 0.06 3, 4, 5, 9, 10, 12, 13, 15, 17, 22
Other tasks of continuous evaluation 25% 1.5 0.06 2, 5, 9, 10, 11, 12, 13, 14, 15, 17, 22

The evaluation of 'Capital Markets' consists of two components:

a) Continuous evaluation (55% of the grade):

  • 25% of exercises to be solved in group
  • 30% of individual midterm exam

b) Individual exam at the end of the semester (45% of the grade).


The continuous evaluation consists of written evaluations according to two different methodologies following the rules of the Faculty of Economics and Business.

To be eligible to pass Capital Markets, students must fulfil the following requirements:

  1. Students must participate in 100% of the evaluation activities.
  2. The average mark on the individual exams must be equal to or higher than 5.0.
  3. If the average mark on the individual exams does not fulfil the previous requirement, the average mark on the exercises solved in group cannot exceed the average mark on the individual exams in more than 3.5 points.
  4. If the distance between the two average marks established in point 3 exceeds 3.5 points, the student fails the subject with a grade equal to the average mark on the individual exams.

Re-evaluating the subject consists of a written retake exam on the whole contents of the subject and it is subject to the following rules of the Faculty of Economics and Business of the UAB.

This subject does not offer the option for comprehensive evaluation.

RULES OF THE FACULTY OF ECONOMICS AND BUSINESS ON EVALUATION AND RETAKING

Calendar of evaluation activities

The dates of the evaluation activities (exercises in the classroom, assignments, ...) will be announced well in advance during the semester.

The dates of the midterm exam and the exam at the end of the semester are scheduled in the evaluation calendar of the Faculty.

\"The dates of evaluation activities cannot be modified, unless there is an exceptional and duly justified reason why an evaluation activity cannot be carried out. In this case, the degree coordinator will contact both the teaching staff and the affected student, and a new date will be scheduled within the same academic period to makeup forthe missed evaluation activity.\" Section 1 of Article 264. Calendar of evaluation activities. Academic Regulations UAB.

Students who in accordance with the previous paragraph need to change an evaluation activity date must process the request by filling out an e-form to apply for exams' rescheduling

https://eformularis.uab.cat/group/deganat_feie/nou-reprogramacio-de-proves

Grade revision process

After all grading activities have ended, students will be informed of the date and way in which the course grades will be published. Students will be also be informed of the procedure, place,date and time of grade revision following University regulations.

Retake Process

\"To be eligible to participate in the retake process, it is required for students to have been previously been evaluated for at least two thirds of the total evaluation activities of the subject.\" Section 2 of Article 261. Retake exams. UAB Academic Regulation.

Additionally, it is required that students have obtained an average grade of the subject equal to or higher than 3.5 and less than 5.0.

The date of the retake exam is posted in the calendar of evaluation activities of the Faculty. Students who take this exam and pass it get a grade of 5.0. For those students who do not pass the retake exam the grade remains unchanged and, hence, they fail the course.

Irregularities in evaluationactivities

In spite of other disciplinary measures deemed appropriate, and in accordance with current academic regulations, \"in the case that the student makes anyirregularity that could lead to a significant variation in the grade of an evaluation activity, it will be graded with a 0, regardless of the disciplinary process that can be instructed. In case of various irregularities occur in the evaluation of the same subject, the final grade of this subjectwill be 0\". Section 11 of Article 266. Results of the evaluation. UAB Academic Regulation.


The completion of assessment activities is subject to the provisions set out in this course guide and in the "Policy of the School of Economics and Business on the Detection of Irregularities during Assessment Activities", which regulates the conditions under which assessment tasks are conducted and the procedures applicable in cases where indications of irregularities are detected. Students are encouraged to consult the policy.


Rules of the Universitat Autonoma de Barcelona concerning the grade «Non-assessable / No avaluable»

A student receives the grade «Non-assessable / No avaluable» when there is insufficient evidence of his/her participation in the evaluation of the subject.

In 'Capital Markets' (102327) this will be the case if the student has participated in less than 45% of the evaluation activities.

Bibliography

Basic bibliography:

BODIE, Z.; A. KANE; A. J. MARCUS. Investments. 12th edition. New York: McGraw-Hill, 2021. Electronic access through the UAB catalogue.

HULL, J. Fundamentals of Futures and Options Markets. 9th edition. Pearson. 2017.

ROSS, S.A.; R.W. WESTERFIELD; J. JAFFE; B. JORDAN. Corporate Finance. 12th edition. New York: McGraw-Hill, 2019.

Complementary bibliography:

LEE, C-F.; LEE, A.C. (eds.). Encyclopedia of Finance. 2nd edition. e-book. Springer, 2013. UAB e-catalogue.

The New Palgrave Dictionary of Economics. Macmillan. e-book. 2018. UAB e-catalogue.

Software

Excel

The subject counts at the Virtual Campus with different Excel files constructed ad hoc for 'Capital Markets' by the lecturers of the subject.

Course groups and languages

The information provided is provisional until November 30. After this date, you will be able to consult the language of each group through this link. To access the information, you will need to enter the course CODE

Type of teaching Group Language Semester Shift
(TE) Theory 4 English second semester morning-mixed
(PAUL) Classroom practices 4 English second semester morning-mixed
(TE) Theory 51 Spanish second semester afternoon
(PAUL) Classroom practices 51 Spanish second semester afternoon